Past

A firm issues a convertible bond. At each subsequent time, the bondholder

must decide whether to continue to hold the bond, thereby collecting coupons, or

to convert it to stock. The bondholder wishes to choose a conversion strategy to

maximize the bond value. Subject to some restrictions, the bond can be called by

the issuing firm, which presumably acts to maximize the equity value of the firm

by minimizing the bond value. This creates a two-person game. We show that if

the coupon rate is below the interest rate times the call price, then conversion

should precede call. On the other hand, if the dividend rate times the call

price is below the coupon rate, call should precede conversion. In either case,

the game reduces to a problem of optimal stopping. This is joint work with Mihai

Sirbu.

A scale-invariant moving finite element method is proposed for the

adaptive solution of nonlinear partial differential equations. The mesh

movement is based on a finite element discretisation of a scale-invariant

conservation principle incorporating a monitor function, while the time

discretisation of the resulting system of ordinary differential equations

may be carried out using a scale-invariant time-stepping. The accuracy and

reliability of the algorithm is tested against exact self-similar

solutions, where available, and a state-of-the-art $h$-refinement scheme

for a range of second and fourth order problems with moving boundaries.

The monitor functions used are the dependent variable and a monitor

related to the surface area of the solution manifold.

In Somerville

We review the analytic transformations allowing to construct standard bridges from a semistable Markov process, with indec 1/2, enjoying the time inversion property. These are generalized and some of there properties are studied. The new family maps the space of continuous real-valued functions into a family which is the topic of our focus. We establish a simple and explicit formula relating the distributions of the first hitting times of each of these by the considered semi-stable process

When two single server queues have the same arrivals process, this is said to be a `fork-join queue'. In the case where the arrivals and service processes are Brownian motions, the queue lengths process is a reflecting Brownian motion in the nonnegative orthant. Tan and Knessl [1996] have given a simple explicit formula for the stationary distribution for this queueing system in a symmetric case, which they obtain as a heavy traffic limit of the classical discrete model. With this as a starting point, we analyse the Brownian model directly in further detail, and consider some related exit problems.

Let M be an ordered vector space over an ordered division ring, and G a definably compact, definably connected group definable in M. We show that G is definably isomorphic to a definable quotient U/L, where U is a convex subgroup of M^n and L is a Z-lattice of rank n. This is a joint work with Panelis Eleftheriou.

The Farrell-Jones Conjecture predicts that the algebraic K-Theory of a group ring RG can be expressed in terms of the algebraic K-Theory of the coefficient ring R and homological information about the group. After an introduction to this circle of ideas the talk will report on recent joint work with A. Bartels which builds up on earlier joint work with A. Bartels, T. Farrell and L. Jones. We prove that the Farrell-Jones Conjecture holds in the case where the group is the fundamental group of a closed Riemannian manifold with strictly negative sectional curvature. The result holds for all of K-Theory, in particular for higher K-Theory, and for arbitrary coefficient rings R.